Related papers: Dynamic choices, temporal invariance and variation…
This paper introduces a novel contextual bandit algorithm for personalized pricing under utility fairness constraints in scenarios with uncertain demand, achieving an optimal regret upper bound. Our approach, which incorporates dynamic…
We present an approach to the dynamic valuation of exposure risks in the multi-period setting, which incorporates a dynamic and multiple diversification of risks in Pareto optimal sense. This approach extends classical indifference premium…
We consider dynamic pricing with covariates under a generalized linear demand model: a seller can dynamically adjust the price of a product over a horizon of $T$ time periods, and at each time period $t$, the demand of the product is…
We study the Merton portfolio management problem within a complete market, non constant time discount rate and general utility framework. The non constant discount rate introduces time inconsistency which can be solved by introducing sub…
Keeping a memory of evolving stimuli is ubiquitous in biology, an example of which is immune memory for evolving pathogens. However, learning and memory storage for dynamic patterns still pose challenges in machine learning. Here, we…
The policy gradient theorem describes the gradient of the expected discounted return with respect to an agent's policy parameters. However, most policy gradient methods drop the discount factor from the state distribution and therefore do…
Using deep neural nets as function approximator for reinforcement learning tasks have recently been shown to be very powerful for solving problems approaching real-world complexity. Using these results as a benchmark, we discuss the role…
We consider a seller who offers services to a buyer with multi-unit demand. Prior to the realization of demand, the buyer receives a noisy signal of their future demand, and the seller can design contracts based on the reported value of…
In continuous-choice settings, consumers decide not only on whether to purchase a product, but also on how much to purchase. Thus, firms optimize a full price schedule rather than a single price point. This paper provides a methodology to…
Pricing decisions stand out as one of the most critical tasks a company faces, particularly in today's digital economy. As with other business decision-making problems, pricing unfolds in a highly competitive and uncertain environment.…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively, however, many open questions still remain. In…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…
We consider dynamic pricing algorithms as applied to the online set cover problem. In the dynamic pricing framework, we assume the standard client server model with the additional constraint that the server can only place prices over the…
A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the…
Rate, energy and delay are three main parameters of interest in ad-hoc networks. In this paper, we discuss the problem of maximizing network utility and minimizing energy consumption while satisfying a given transmission delay constraint…
A variational inequality for pricing the perpetual American option and the corresponding difference equation are considered. First, the maximum principle and uniqueness of the solution to variational inequality for pricing the perpetual…
I consider the optimal hourly (or per-unit-time in general) pricing problem faced by a freelance worker (or a service provider) on an on-demand service platform. Service requests arriving while the worker is busy are lost forever. Thus, the…
Derivative pricing is about cash flow discounting at the riskfree rate. This teaching has lost its meaning post the financial crisis, due to the addition of extra value adjustments (XVA), which also made derivatives pricing and valuation a…